Field characteristic

Behavioural Finance
According to empirical evidence, the behaviour of economical agents deviates from the theory of expected utility. Among several possible ways modelling of those deviations, we focus on the study of behavioural biases of a (small) investor. The problem is studied by means of theoretical analysis, econometrical testing and economic experiments. Special attention is paid to internet platform which are both studied and exploited for obtaining data.

Econometrics of Market Microstructure
Models of high frequency trading at limit order markets are constructed, studied and statistically tested. In particular, we assume continuous time trading where the flows of limit orders, market orders and cancellations are locally Poisson. Based on recursive analytical formula we have derived, econometrics of the model is constructed.

Credit Risk Models
We generalize the widely used Merton-Vasicek model of a large loan portfolio. In addition of the rate of defaults (RD), we include also the loss given default (LGD) into our model. RD and PCD are driven by separate common factors. Contrary to the original model, we also assume the dynamics of the factors. We develop a (quasi) maximum likelihood estimates of the parameters of the model.

People

• Martin Šmíd
  market microstructure, credit risk.
• Karel Báťa
  behavioural finance, experiments.
• Lukáš Tobolák
  behavioural finance, new internet platforms.
• Petr Gapko
  credit risk models.
• Aleš Kuběna
  dynamical behavioural systems

Selected publications

• Báťa K., Šmíd M. :  Equity home bias in the Czech Republic , Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010 (České Budějovice, CZ, 08.09.2010-10.09.2010)
• Gapko P., Šmíd M. :  Modeling a Distribution of Mortgage Credit Losses , IES Working Papers vol.23, 23 (2010), p. 1-23
• Šmíd M.:  Price Tails in the Smith and Farmer's Model , Bulletin of the Czech Econometric Society vol.15, 25 (2008), p. 31-40
• Šmíd M. :  Dynamic model of Loan Portfolio with Lévy Asset Prices Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010 (České Budějovice, CZ, 08.09.2010-10.09.2010) 
• Šmíd M.: Probabilistic Properties of the Continuous Double Auction, 2008, under review